Re: [R] sandwich package: HAC estimators

2016-06-01 Thread Achim Zeileis
amp; Wests nonparametric lag/bandwidth selection and prewhitening by default. Kind regards From: Achim Zeileis <achim.zeil...@uibk.ac.at> Sent: 31 May 2016 17:19 To: T.Riedle Cc: r-help@r-project.org Subject: Re: [R] sandwich package: HAC estimators On Tue, 31 Ma

Re: [R] sandwich package: HAC estimators

2016-06-01 Thread T.Riedle
mmand. Which weights does this command apply, which bandwith and which kernel? Kind regards From: Achim Zeileis <achim.zeil...@uibk.ac.at> Sent: 31 May 2016 17:19 To: T.Riedle Cc: r-help@r-project.org Subject: Re: [R] sandwich package: HAC estimators O

Re: [R] sandwich package: HAC estimators

2016-05-31 Thread Achim Zeileis
weyWest) waldtest(m, vcov = NeweyWest) Instead of NeweyWest other covariance estimators (e.g., vcovHAC, kernHAC, etc.) can also be plugged in. hth, Z From: Achim Zeileis <achim.zeil...@uibk.ac.at> Sent: 31 May 2016 13:18 To: T.Riedle Cc: r-help@r-proje

Re: [R] sandwich package: HAC estimators

2016-05-31 Thread T.Riedle
git into the waldtest() function. Does that work to get chi2 under HAC standard errors? From: Achim Zeileis <achim.zeil...@uibk.ac.at> Sent: 31 May 2016 13:18 To: T.Riedle Cc: r-help@r-project.org Subject: Re: [R] sandwich package: HAC estimators On Tue, 31

Re: [R] sandwich package: HAC estimators

2016-05-31 Thread Achim Zeileis
lf of Achim Zeileis <achim.zeil...@uibk.ac.at> Sent: 31 May 2016 08:36 To: Leonardo Ferreira Fontenelle Cc: r-help@r-project.org Subject: Re: [R] sandwich package: HAC estimators On Mon, 30 May 2016, Leonardo Ferreira Fontenelle wrote: Em Sáb 28 mai. 2016, às 15:50, Achim Zeileis escreveu

Re: [R] sandwich package: HAC estimators

2016-05-31 Thread T.Riedle
r-help@r-project.org Subject: Re: [R] sandwich package: HAC estimators On Mon, 30 May 2016, Leonardo Ferreira Fontenelle wrote: > Em Sáb 28 mai. 2016, às 15:50, Achim Zeileis escreveu: >> On Sat, 28 May 2016, T.Riedle wrote: >> > I thought it would be useful to incorpo

Re: [R] sandwich package: HAC estimators

2016-05-31 Thread Achim Zeileis
On Mon, 30 May 2016, Leonardo Ferreira Fontenelle wrote: Em Sáb 28 mai. 2016, às 15:50, Achim Zeileis escreveu: On Sat, 28 May 2016, T.Riedle wrote: > I thought it would be useful to incorporate the HAC consistent > covariance matrix into the logistic regression directly and generate an >

Re: [R] sandwich package: HAC estimators

2016-05-30 Thread Leonardo Ferreira Fontenelle
Em Sáb 28 mai. 2016, às 15:50, Achim Zeileis escreveu: > On Sat, 28 May 2016, T.Riedle wrote: > > I thought it would be useful to incorporate the HAC consistent > > covariance matrix into the logistic regression directly and generate an > > output of coefficients and the corresponding standard

Re: [R] sandwich package: HAC estimators

2016-05-28 Thread Achim Zeileis
On Sat, 28 May 2016, T.Riedle wrote: Dear R users, I am running a logistic regression using the rms package and the code looks as follows: crisis_bubble4<-lrm(stock.market.crash~crash.MA+bubble.MA+MP.MA+UTS.MA+UPR.MA+PPI.MA+RV.MA,data=Data_logitregression_movingaverage) Now, I would like

[R] sandwich package: HAC estimators

2016-05-28 Thread T.Riedle
Dear R users, I am running a logistic regression using the rms package and the code looks as follows: crisis_bubble4<-lrm(stock.market.crash~crash.MA+bubble.MA+MP.MA+UTS.MA+UPR.MA+PPI.MA+RV.MA,data=Data_logitregression_movingaverage) Now, I would like to calculate HAC robust standard errors